An Empirical Analysis On M&A Performance Based On VaR In China's Securities Market

Merger and Acquisition (M&A) which is an effective approach to adjust industrial structure and expand corporation running scale rapidly has been developing for more than 100 years in western, there are gone through five rounds of the wave of M&A, in the sixth wave of M&A among quietly silent way. However, the discuss on whether the performance of merger an Acquisition is good or not never stopped no matter in domestic or at abroad. After refer to the M&A theories and research methods about M&A performance profoundly, we find out: Because of the domestic stock market has developed non-standard, the the event study method is not suitable to measure current M&A performance; And the globalization of competition in the enterprise market risk, operational performance evaluation of the performance of M&A also needs to introduces index reflect the state of risk indicators. Hence, this paper analyzes 143 merger and acquisitions that took place in 2002. The acquiring firms were listed. We introduces VaR (value at risk) to measure the total market risk of the listed company, and compare the M&A long-run performance from two aspects, the VaR and the integrated-point-function model. we also carry out the empirical to the difference M&A long-run performance, related transaction and unrelated transaction M&A long-run performance,the results show that:(1) The acquiring firms'total market risk raised remarkably; the acquiring firms'operate performance rises in the first and then decline, but unremarkable; The comprehensive analysis express that the whole acquiring firms'performance were bad.(2) Horizontal,Vertical and Conglomerate M&A's total market risk raised then decline, they tend to be equal to the average value of market risk. The performances of theirs rise first and then decline, but as a whole, the conglomerate M&A superior to the horizontal M&A and vertical M&A.(3) Related transaction and non-related transaction M&A's total market risk raised then decline, they tend to be equal to the average value of market risk. Non- related transaction M&A's performances superior to related transaction M&A at first time post-merger, but related transaction M&A in the latter part of the performance are significantly better than non-related M&A. However, the ratio of related transaction M&A are significantly higher than non-related transactions.